538 lines
26 KiB
TypeScript
538 lines
26 KiB
TypeScript
import {
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DummyLiquidityProviderContract,
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DummyLiquidityProviderRegistryContract,
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ERC20BridgeSamplerContract,
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IERC20BridgeSamplerContract,
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} from '@0x/contract-wrappers';
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import { artifacts as erc20BridgeSamplerArtifacts } from '@0x/contracts-erc20-bridge-sampler/lib/src/artifacts';
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import {
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constants,
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expect,
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getRandomFloat,
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getRandomInteger,
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provider,
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randomAddress,
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toBaseUnitAmount,
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txDefaults,
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} from '@0x/contracts-test-utils';
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import { assetDataUtils, generatePseudoRandomSalt } from '@0x/order-utils';
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import { SignedOrder } from '@0x/types';
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import { BigNumber, hexUtils, NULL_ADDRESS } from '@0x/utils';
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import * as _ from 'lodash';
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import { DexOrderSampler, getSampleAmounts } from '../src/utils/market_operation_utils/sampler';
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import { DexSample, ERC20BridgeSource } from '../src/utils/market_operation_utils/types';
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import { MockSamplerContract } from './utils/mock_sampler_contract';
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const CHAIN_ID = 1;
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// tslint:disable: custom-no-magic-numbers
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describe('DexSampler tests', () => {
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const MAKER_TOKEN = randomAddress();
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const TAKER_TOKEN = randomAddress();
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const MAKER_ASSET_DATA = assetDataUtils.encodeERC20AssetData(MAKER_TOKEN);
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const TAKER_ASSET_DATA = assetDataUtils.encodeERC20AssetData(TAKER_TOKEN);
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describe('getSampleAmounts()', () => {
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const FILL_AMOUNT = getRandomInteger(1, 1e18);
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const NUM_SAMPLES = 16;
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it('generates the correct number of amounts', () => {
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const amounts = getSampleAmounts(FILL_AMOUNT, NUM_SAMPLES);
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expect(amounts).to.be.length(NUM_SAMPLES);
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});
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it('first amount is nonzero', () => {
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const amounts = getSampleAmounts(FILL_AMOUNT, NUM_SAMPLES);
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expect(amounts[0]).to.not.bignumber.eq(0);
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});
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it('last amount is the fill amount', () => {
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const amounts = getSampleAmounts(FILL_AMOUNT, NUM_SAMPLES);
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expect(amounts[NUM_SAMPLES - 1]).to.bignumber.eq(FILL_AMOUNT);
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});
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it('can generate a single amount', () => {
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const amounts = getSampleAmounts(FILL_AMOUNT, 1);
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expect(amounts).to.be.length(1);
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expect(amounts[0]).to.bignumber.eq(FILL_AMOUNT);
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});
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it('generates ascending amounts', () => {
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const amounts = getSampleAmounts(FILL_AMOUNT, NUM_SAMPLES);
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for (const i of _.times(NUM_SAMPLES).slice(1)) {
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const prev = amounts[i - 1];
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const amount = amounts[i];
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expect(prev).to.bignumber.lt(amount);
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}
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});
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});
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function createOrder(overrides?: Partial<SignedOrder>): SignedOrder {
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return {
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chainId: CHAIN_ID,
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exchangeAddress: randomAddress(),
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makerAddress: constants.NULL_ADDRESS,
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takerAddress: constants.NULL_ADDRESS,
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senderAddress: constants.NULL_ADDRESS,
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feeRecipientAddress: randomAddress(),
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salt: generatePseudoRandomSalt(),
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expirationTimeSeconds: getRandomInteger(0, 2 ** 64),
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makerAssetData: MAKER_ASSET_DATA,
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takerAssetData: TAKER_ASSET_DATA,
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makerFeeAssetData: constants.NULL_BYTES,
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takerFeeAssetData: constants.NULL_BYTES,
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makerAssetAmount: getRandomInteger(1, 1e18),
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takerAssetAmount: getRandomInteger(1, 1e18),
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makerFee: constants.ZERO_AMOUNT,
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takerFee: constants.ZERO_AMOUNT,
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signature: hexUtils.random(),
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...overrides,
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};
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}
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const ORDERS = _.times(4, () => createOrder());
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const SIMPLE_ORDERS = ORDERS.map(o => _.omit(o, ['signature', 'chainId', 'exchangeAddress']));
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describe('operations', () => {
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it('getOrderFillableMakerAmounts()', async () => {
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const expectedFillableAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
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const sampler = new MockSamplerContract({
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getOrderFillableMakerAssetAmounts: (orders, signatures) => {
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expect(orders).to.deep.eq(SIMPLE_ORDERS);
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expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
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return expectedFillableAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getOrderFillableMakerAmounts(ORDERS),
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);
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expect(fillableAmounts).to.deep.eq(expectedFillableAmounts);
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});
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it('getOrderFillableTakerAmounts()', async () => {
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const expectedFillableAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
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const sampler = new MockSamplerContract({
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getOrderFillableTakerAssetAmounts: (orders, signatures) => {
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expect(orders).to.deep.eq(SIMPLE_ORDERS);
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expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
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return expectedFillableAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getOrderFillableTakerAmounts(ORDERS),
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);
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expect(fillableAmounts).to.deep.eq(expectedFillableAmounts);
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});
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it('getKyberSellQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const sampler = new MockSamplerContract({
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sampleSellsFromKyberNetwork: (takerToken, makerToken, fillAmounts) => {
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
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return expectedMakerFillAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getKyberSellQuotes(
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expectedMakerToken,
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expectedTakerToken,
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expectedTakerFillAmounts,
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),
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);
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expect(fillableAmounts).to.deep.eq(expectedMakerFillAmounts);
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});
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it('getLiquidityProviderSellQuotes()', async () => {
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const expectedMakerToken = randomAddress();
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const expectedTakerToken = randomAddress();
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const registry = randomAddress();
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const sampler = new MockSamplerContract({
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sampleSellsFromLiquidityProviderRegistry: (registryAddress, takerToken, makerToken, fillAmounts) => {
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expect(registryAddress).to.eq(registry);
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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return [toBaseUnitAmount(1001)];
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},
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [result] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getSellQuotes(
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[ERC20BridgeSource.LiquidityProvider],
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expectedMakerToken,
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expectedTakerToken,
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[toBaseUnitAmount(1000)],
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registry,
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),
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);
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expect(result).to.deep.equal([
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[
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{
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source: 'LiquidityProvider',
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output: toBaseUnitAmount(1001),
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input: toBaseUnitAmount(1000),
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},
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],
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]);
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});
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it('getLiquidityProviderBuyQuotes()', async () => {
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const expectedMakerToken = randomAddress();
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const expectedTakerToken = randomAddress();
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const registry = randomAddress();
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const sampler = new MockSamplerContract({
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sampleBuysFromLiquidityProviderRegistry: (registryAddress, takerToken, makerToken, fillAmounts) => {
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expect(registryAddress).to.eq(registry);
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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return [toBaseUnitAmount(999)];
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},
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [result] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getBuyQuotes(
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[ERC20BridgeSource.LiquidityProvider],
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expectedMakerToken,
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expectedTakerToken,
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[toBaseUnitAmount(1000)],
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registry,
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),
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);
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expect(result).to.deep.equal([
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[
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{
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source: 'LiquidityProvider',
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output: toBaseUnitAmount(999),
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input: toBaseUnitAmount(1000),
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},
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],
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]);
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});
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it('getEth2DaiSellQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const sampler = new MockSamplerContract({
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sampleSellsFromEth2Dai: (takerToken, makerToken, fillAmounts) => {
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
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return expectedMakerFillAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getEth2DaiSellQuotes(
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expectedMakerToken,
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expectedTakerToken,
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expectedTakerFillAmounts,
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),
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);
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expect(fillableAmounts).to.deep.eq(expectedMakerFillAmounts);
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});
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it('getUniswapSellQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const sampler = new MockSamplerContract({
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sampleSellsFromUniswap: (takerToken, makerToken, fillAmounts) => {
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
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return expectedMakerFillAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getUniswapSellQuotes(
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expectedMakerToken,
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expectedTakerToken,
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expectedTakerFillAmounts,
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),
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);
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expect(fillableAmounts).to.deep.eq(expectedMakerFillAmounts);
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});
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it('getEth2DaiBuyQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const sampler = new MockSamplerContract({
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sampleBuysFromEth2Dai: (takerToken, makerToken, fillAmounts) => {
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedMakerFillAmounts);
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return expectedTakerFillAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getEth2DaiBuyQuotes(
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expectedMakerToken,
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expectedTakerToken,
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expectedMakerFillAmounts,
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),
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);
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expect(fillableAmounts).to.deep.eq(expectedTakerFillAmounts);
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});
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it('getUniswapBuyQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const sampler = new MockSamplerContract({
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sampleBuysFromUniswap: (takerToken, makerToken, fillAmounts) => {
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedMakerFillAmounts);
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return expectedTakerFillAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getUniswapBuyQuotes(
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expectedMakerToken,
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expectedTakerToken,
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expectedMakerFillAmounts,
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),
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);
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expect(fillableAmounts).to.deep.eq(expectedTakerFillAmounts);
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});
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interface RatesBySource {
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[src: string]: BigNumber;
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}
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it('getSellQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const sources = [ERC20BridgeSource.Kyber, ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.Uniswap];
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const ratesBySource: RatesBySource = {
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[ERC20BridgeSource.Kyber]: getRandomFloat(0, 100),
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[ERC20BridgeSource.Eth2Dai]: getRandomFloat(0, 100),
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[ERC20BridgeSource.Uniswap]: getRandomFloat(0, 100),
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};
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 3);
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const sampler = new MockSamplerContract({
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sampleSellsFromKyberNetwork: (takerToken, makerToken, fillAmounts) => {
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
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return fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.Kyber]).integerValue());
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},
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sampleSellsFromUniswap: (takerToken, makerToken, fillAmounts) => {
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
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return fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.Uniswap]).integerValue());
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},
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sampleSellsFromEth2Dai: (takerToken, makerToken, fillAmounts) => {
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
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return fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.Eth2Dai]).integerValue());
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},
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [quotes] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getSellQuotes(
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sources,
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expectedMakerToken,
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expectedTakerToken,
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expectedTakerFillAmounts,
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),
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);
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expect(quotes).to.be.length(sources.length);
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const expectedQuotes = sources.map(s =>
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expectedTakerFillAmounts.map(a => ({
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source: s,
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input: a,
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output: a.times(ratesBySource[s]).integerValue(),
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})),
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);
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expect(quotes).to.deep.eq(expectedQuotes);
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});
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it('getBuyQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const sources = [ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.Uniswap];
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const ratesBySource: RatesBySource = {
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[ERC20BridgeSource.Eth2Dai]: getRandomFloat(0, 100),
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[ERC20BridgeSource.Uniswap]: getRandomFloat(0, 100),
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};
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const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 3);
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const sampler = new MockSamplerContract({
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sampleBuysFromUniswap: (takerToken, makerToken, fillAmounts) => {
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedMakerFillAmounts);
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return fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.Uniswap]).integerValue());
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},
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sampleBuysFromEth2Dai: (takerToken, makerToken, fillAmounts) => {
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedMakerFillAmounts);
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return fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.Eth2Dai]).integerValue());
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},
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [quotes] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getBuyQuotes(
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sources,
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expectedMakerToken,
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expectedTakerToken,
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expectedMakerFillAmounts,
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),
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);
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expect(quotes).to.be.length(sources.length);
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const expectedQuotes = sources.map(s =>
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expectedMakerFillAmounts.map(a => ({
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source: s,
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input: a,
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output: a.times(ratesBySource[s]).integerValue(),
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})),
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);
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expect(quotes).to.deep.eq(expectedQuotes);
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});
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describe('LiquidityProvider Operations', () => {
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const xAsset = randomAddress();
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const yAsset = randomAddress();
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const zAsset = randomAddress();
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const liquidityPool1 = randomAddress();
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const liquidityPool2 = randomAddress();
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let registryContract: DummyLiquidityProviderRegistryContract;
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let samplerContract: ERC20BridgeSamplerContract;
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beforeEach(async () => {
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registryContract = await DummyLiquidityProviderRegistryContract.deployFrom0xArtifactAsync(
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erc20BridgeSamplerArtifacts.DummyLiquidityProviderRegistry,
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provider,
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txDefaults,
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{},
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);
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samplerContract = await ERC20BridgeSamplerContract.deployFrom0xArtifactAsync(
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erc20BridgeSamplerArtifacts.ERC20BridgeSampler,
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provider,
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txDefaults,
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{},
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);
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});
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it('getLiquidityProviderFromRegistry()', async () => {
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// Deploy Registry
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// Write 2 new liquidity pools
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await registryContract
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.setLiquidityProviderForMarket(xAsset, yAsset, liquidityPool1)
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.awaitTransactionSuccessAsync().txHashPromise;
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await registryContract
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.setLiquidityProviderForMarket(xAsset, zAsset, liquidityPool2)
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.awaitTransactionSuccessAsync().txHashPromise;
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// Deploy the sampler
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// Test multiple combinations: 2 pools that are present, 1 pool that is not present.
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const dexOrderSampler = new DexOrderSampler(
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new IERC20BridgeSamplerContract(samplerContract.address, provider),
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);
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const [xyPool, xzPool, yzPool, nullPool] = await dexOrderSampler.executeBatchAsync([
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DexOrderSampler.ops.getLiquidityProviderFromRegistry(registryContract.address, xAsset, yAsset),
|
|
DexOrderSampler.ops.getLiquidityProviderFromRegistry(registryContract.address, xAsset, zAsset),
|
|
DexOrderSampler.ops.getLiquidityProviderFromRegistry(registryContract.address, yAsset, zAsset),
|
|
DexOrderSampler.ops.getLiquidityProviderFromRegistry(NULL_ADDRESS, yAsset, zAsset),
|
|
]);
|
|
expect(xyPool).to.eql(liquidityPool1);
|
|
expect(xzPool).to.eql(liquidityPool2);
|
|
expect(yzPool).to.eql(NULL_ADDRESS);
|
|
expect(nullPool).to.eql(NULL_ADDRESS);
|
|
});
|
|
it('is able to sample DEX liquidity from LiquidityProvider', async () => {
|
|
const fakeLiquidityPool = await DummyLiquidityProviderContract.deployFrom0xArtifactAsync(
|
|
erc20BridgeSamplerArtifacts.DummyLiquidityProvider,
|
|
provider,
|
|
txDefaults,
|
|
{},
|
|
);
|
|
await registryContract
|
|
.setLiquidityProviderForMarket(xAsset, yAsset, fakeLiquidityPool.address)
|
|
.awaitTransactionSuccessAsync().txHashPromise;
|
|
|
|
const dexOrderSampler = new DexOrderSampler(
|
|
new IERC20BridgeSamplerContract(samplerContract.address, provider),
|
|
);
|
|
const [buyQuotes, sellQuotes] = await dexOrderSampler.executeBatchAsync([
|
|
DexOrderSampler.ops.getBuyQuotes(
|
|
[ERC20BridgeSource.LiquidityProvider],
|
|
xAsset,
|
|
yAsset,
|
|
[new BigNumber(10), new BigNumber(100)],
|
|
registryContract.address,
|
|
),
|
|
DexOrderSampler.ops.getSellQuotes(
|
|
[ERC20BridgeSource.LiquidityProvider],
|
|
xAsset,
|
|
yAsset,
|
|
[new BigNumber(10), new BigNumber(100), new BigNumber(500)],
|
|
registryContract.address,
|
|
),
|
|
]);
|
|
expect(buyQuotes.length).to.eql(1);
|
|
const liquidityPoolBuyQuotes: DexSample[] = buyQuotes[0];
|
|
expect(liquidityPoolBuyQuotes.length).to.eql(2);
|
|
for (const quote of liquidityPoolBuyQuotes) {
|
|
expect(quote.source).to.bignumber.eql(ERC20BridgeSource.LiquidityProvider);
|
|
expect(quote.input.plus(1)).to.bignumber.eql(quote.output);
|
|
}
|
|
|
|
expect(sellQuotes.length).to.eql(1);
|
|
const liquidityPoolSellQuotes: DexSample[] = sellQuotes[0];
|
|
expect(liquidityPoolSellQuotes.length).to.eql(3);
|
|
for (const quote of liquidityPoolSellQuotes) {
|
|
expect(quote.source).to.bignumber.eql(ERC20BridgeSource.LiquidityProvider);
|
|
expect(quote.input.minus(1)).to.bignumber.eql(quote.output);
|
|
}
|
|
});
|
|
});
|
|
});
|
|
|
|
describe('batched operations', () => {
|
|
it('getOrderFillableMakerAmounts(), getOrderFillableTakerAmounts()', async () => {
|
|
const expectedFillableTakerAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
|
|
const expectedFillableMakerAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
|
|
const sampler = new MockSamplerContract({
|
|
getOrderFillableMakerAssetAmounts: (orders, signatures) => {
|
|
expect(orders).to.deep.eq(SIMPLE_ORDERS);
|
|
expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
|
|
return expectedFillableMakerAmounts;
|
|
},
|
|
getOrderFillableTakerAssetAmounts: (orders, signatures) => {
|
|
expect(orders).to.deep.eq(SIMPLE_ORDERS);
|
|
expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
|
|
return expectedFillableTakerAmounts;
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(sampler);
|
|
const [fillableMakerAmounts, fillableTakerAmounts] = await dexOrderSampler.executeAsync(
|
|
DexOrderSampler.ops.getOrderFillableMakerAmounts(ORDERS),
|
|
DexOrderSampler.ops.getOrderFillableTakerAmounts(ORDERS),
|
|
);
|
|
expect(fillableMakerAmounts).to.deep.eq(expectedFillableMakerAmounts);
|
|
expect(fillableTakerAmounts).to.deep.eq(expectedFillableTakerAmounts);
|
|
});
|
|
});
|
|
});
|
|
// tslint:disable-next-line: max-file-line-count
|